The basic idea is to have one save game per level. For instance if you have the levels cave.wmb, dungeon.wmb and town.wmb, then you should do three save games as well. cave0.sav when leaving cave.wmb, dungeon0.sav for dungeon.wmb etc.

Additionally to that you should save things like the player inventory, his stats etc. in an external file. Alternatively you can use info variables for this and use the save game mechanism for that as well.